Economy & PolicyCore researchInactiveNew
Euribor US Spread
Updated dailyData needs: mediumlong onlyshort only
paper
2014
Source
Bollerslev, T., Marrone, J., Xu, L., Zhou, H. (2014). "Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence." Journal of Financial and Quantitative Analysis, 49(3), 633-661.
Read the paper →
In plain terms
Fear premium rich (VIX vs realized vol) -> buy intl index ETFs, hold 3-4 months.
How it works
Variance risk premium (option-implied minus realized variance) positively predicts equity-index returns, including non-US indexes, at a 2-4 month horizon.
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Vix prices
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- R2 peaks at 2-4mo horizon
- Tested over
- 2000-2011
Bollerslev et al. 2014 JFQA: significant predictability, R2 peaks at 2-4mo horizon.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore Euribor US Spread on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.